Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: st: fixed effects for unbalanced panel


From   "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: fixed effects for unbalanced panel
Date   Tue, 7 Oct 2008 11:32:49 -0400

///

Yes, Stata does that. We discussed with Mark that in the post mentioned
by Austin Nichols and also you could check the minimum number of
observations by groups in the examples of -xtreg, fe- in the manuals.
Best regards, Rodrigo.  


-----Mensaje original-----
De: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Deepak Hegde
Enviado el: Martes, 07 de Octubre de 2008 10:57 a.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: RE: st: fixed effects for unbalanced panel

It appears to me that areg/xtreg, in addition to not adjusting the
observations to account for singletons, is estimating the within
regressions with a bunch of zeros in X and Y (demeaning groups with only
one observation should yield zeros in X and Y).  This affects both the
slope and intercept of the regression line and can lead to coefficients
(not just S.E.) substantially different from the ones obtained by
explicitly dropping single-occurring observations from the fixed effects
regression.

Can someone please confirm if I am right in my thinking about how Stata
is treating single observation groups?  Thank you!


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Austin
Nichols
Sent: Tuesday, October 07, 2008 6:56 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: fixed effects for unbalanced panel

See
http://www.stata.com/statalist/archive/2006-07/msg00535.html

On Tue, Oct 7, 2008 at 1:29 AM, Deepak Hegde <hegde@haas.berkeley.edu>
wrote:
> I have an unbalanced panel (for most firms, I have two or more years
of data, and for some firms only one year).
>
> I want to know what stata does to observations (firms) with only one
year of data when I run a fixed effects model with either the xtreg,
fe(firm_id) or areg, absorb (firm_id) command.  It seems like the
correct thing to do is to drop observations with only one year of data,
but I am getting different results when I explicitly exclude firms with
only one-year of data and when I use Stata's fixed effects commands.
This suggests that Stata is using data on firms without time-variation
in a way that I don't understand...
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

********************************************************************************
ADVERTENCIA: La  información  contenida  en  esta  transmisión, y  en  cualquier archivo  adjunto, está  sujeta a reserva legal conforme a la normativa aplicable  al  Banco  Central  de  Chile, y  no  puede  ser usada o difundida  por personas distintas  de  su o sus destinatarios. Si usted ha recibido esta transmisión por error,  por  favor  notifique  inmediatamente al remitente respondiendo por este mismo medio y elimínela de su sistema.
El  Banco Central de Chile no se hará responsable de la exactitud y veracidad de la información contenida en este mensaje, así  como  de su  modificación, copia, divulgación  o  reenvío,  total  o  parcial.   Su  uso  no  autorizado puede ser sancionado de conformidad con las leyes chilenas. 
El  Banco  Central  de  Chile  transmite  sus decisiones a través de comunicados oficiales, los  que  pone  a  disposición  del público en su página de Internet: www.bcentral.cl 


DISCLAIMER: The information  contained  in  this  email or any attached file, is subject to legal  privilege  pursuant  to the laws and regulations applicable to the Central  Bank  of  Chile , and may not be used or disseminated by any person other  than  its  intended recipients. If you have received this transmission in error, please  notify  the sender immediately by reply to this email address and delete it from your system.
The Central Bank  of  Chile shall not be liable for the accuracy or authenticity of the contents of this message, whether amended, copied, forwarded or disclosed in  any  form, in  whole  or  in part.  Please note that unauthorized use may be penalized  in  conformity  with  the  Chilean law.    
The Central  Bank of Chile communicates its decisions by  official releases, and 
makes them available to the public in its WebPages: www.bcentral.cl

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index